I present a production-based general equilibrium model that jointly prices bond and stock returns. The model produces … time-varying correlation between stock and long-term default-free real bond returns that changes in both magnitude and sign …-flow) shocks produce comovement of bond and stock returns and positive term premium. The relative strength of these two mechanisms …

for the complete cat bond market from 2001 to 2020, we provide insights into relevant risk factors in the cross-section of … cat bond returns. After investigating a battery of possible cat bond return factors in bivariate and multivariate … portfolio sorts as well as Fama-MacBeth regressions, we propose a four-factor cat bond model. Its factors are the seasonality …

stylized facts: (1) the positive stock-bond return correlation from 1971 to 2000 and the negative one after 2000, (2) the … coexistence of positive bond risk premiums and the negative stock-bond return correlation. We show that two distinctive shocks …-the technology and investment shocks-drive positive and negative stock-bond return correlations under two policy regimes, but …

Earlier studies in the finance literature show that macroeconomic fundamentals can predict excess bond returns. We … less than the real factors; (iii) the inflation factors have almost no predictivepower and (iv) the excess bond returns …

only strong evidence of information asymmetry in sovereign bond markets, but we also show the relevance of information … asymmetry in explaining the cross-sectional variations of bond yields across a wide range of bond maturities and countries. Our … highest permanent price impacts in the long maturity class. More importantly, we study the cross-section of bond yields and …

Taking advantage of recently augmented corporate bond transaction data, we examine the pricing implications of informed … asymmetry seem to capture adverse selection in corporate bond trading reasonably well. We demonstrate that information asymmetry … in bond trading has explanatory power for corporate bond yield spreads, and this result holds after controlling for the …

incorporated into bond prices. Survey forecasts available in real time contain information about future revised data that is … orthogonal to the real-time data and also helps to predict bond returns …

This paper investigates whether ETF returns lead the returns of underlying bonds and similar style bond funds. Bond … predicted, we find that ETF returns predict its own NAV returns and aggregated ETF returns for each bond also predict the … underlying bond returns on a monthly basis. We show that bond liquidity is the determining factor of the predictability and the …